The SGI Bond Optimised Sharpe Strategy (“BOSS”) is an innovative index reflecting the evolution of an international optimised bond strategy based on a proprietary quantitative trading model developed by the Fixed Income Derivatives teams of Société Générale Corporate & Investment Banking. The model seeks to deliver an excess return over traditional bond strategies under predefined risk limitation constraints.
The BOSS model’s investment process can be described as follows:
Implementation of 2 systematic strategies subject to strong risk limits:
- Intra-curve asset allocation
- Multicurrency investments
Allocation to the universe of the SGI Bond indices:
- SGI Bond is a range of investable Fixed Income indices providing a synthetic exposure to constant maturity bonds
- Each index replicates an investment in a single currency note with a fixed maturity
- Fixed maturity is obtained by replicating the performance of a monthly rolled bond investment.
Adapted to clients seeking for pure rate strategy and/or requiring simple underlying to face investment policy constraints.